LEAN LEVEL SUPPORT FOR TRADING STRATEGIES

摘要

PROBLEM TO BE SOLVED: To provide techniques for lean level support for a trading strategy.SOLUTION: The support for a price level under consideration as a lean level is determined based at least in part on quantity available at the price level, is determined based at least in part on quantity available at one or more other price levels, and is determined based at least in part on the number of orders at one or more price levels. A lean level may be determined based on the determined support. A lean multiplier and/or a lean base are determined dynamically based on the determined support.